Dear Mathgroup Members,
I have to minimize a function which is continuous but not smooth.
Someone suggested to use the flexible polyhedron search method
by Nelder and Mead.
The FindMinimum[] function in Mathematica doesn't use this
method, but seems to do the job well if I force use of the secant
method by givind two starting points for each variable.
Since the features of FindMinimum are not documented very well, I
wonder whether FindMinimum guarantees to find at least a local
minimum in my case.
In case you are interested in the function:
Plus @@ Abs[y - max[Dot[x, b], 0]],
where y is a vector, x a matrix and b a vector. b contains the
miminization arguments.
Johannes Ludsteck
Centre for European Economic Research (ZEW)
Department of Labour Economics,
Human Resources and Social Policy
Phone (+49)(0)621/1235-157
Fax (+49)(0)621/1235-225
P.O.Box 103443
D-68034 Mannheim
GERMANY
Email: ludsteck at zew.de